Research

Inter-Commodity Spreads and Implied Pricing
Tuesday, March 14th, 2017

Implied quoting is a characteristic feature of interest rate futures markets

Multidimensional Futures Rolls
Wednesday, January 25th, 2017

Calendar rolls are a characteristic feature of futures contracts.

Market Impact and Alpha
Wednesday, January 25th, 2017

Price impact caused by an aggressive order is a staple of market microstructure research.

Humans: Are we that predictable?
Saturday, November 12th, 2016

We are often asked at QB if algorithms are always better than humans. It might surprise the reader that we don’t see this as an “us” vs “them”.

Hidden Liquidity in CME Futures
Thursday, September 15th, 2016

Hidden liquidity is resting volume available in the order book, that is not visible in market data but that can be traded against by a suitable marketable order.

1-Minute Bin Volume Forecast Model
Thursday, September 15th, 2016

In response to strong client demand, Quantitative Brokers (QB) has developed a new algorithm called Closer that specifically targets the daily settlement price as…

QB vs. Bulge Bracket Bank Algos
Friday, February 12th, 2016

Algorithmic futures trading has recently become very popular among the world largest commodity trading advisors (CTAs), global macro hedge funds..

Entropy and Futures Contracts
Thursday, August 6th, 2015

Different futures products show markedly different distributions of activity across contract months. For some products..

Options on Futures on US Treasuries and S&P 500
Thursday, June 11th, 2015

Options contracts on the S&P 500 equity index futures, and on the 10-year US Treasury
note…

Cash Treasuries vs Futures on October 15, 2014
Thursday, June 18th, 2015

Our study of public market data on October 15 suggests that high frequency trading was not..

Bid to Cover Ratio Report
Tuesday, June 9th, 2015

A brief report in context of the June 9 WSJ article, which discusses a decline in the bids to debt ratio of the 10-year Gilts…

Interest Rate Trends May 2014 Newsletter
Friday, May 30th, 2014

Overall volume has been steadily increasing following a low point at the end of 2008.

QB Simulator Performance
Friday, March 14th, 2014

QB’s execution simulator is an important tool for developing and evaluating our algorithms

Mixed FIFO/Pro Rata Match Algorithms
Friday, May 31st, 2013

Effective May 29, 2013, the NYSE LIFFE exchange announced a change to the pro rata trade matching algorithm for…

High-Frequency Event Analysis in Eurex Interest Rate Futures
Tuesday, June 26th, 2012

We investigate the effect of scheduled information releases and auctions on high-frequency trading of…

Report: US Treasury Futures Roll Microstructure Basics
Friday, August 5th, 2011

This report highlights the fundamental microstructure components of the US Treasury futures roll.

Effect of the Unemployment Report on Interest Rate Futures
Thursday, May 26th, 2011

We track 62 unique macroeconomic events and calibrate our volume forecasts to the effect of each data release…

CME Matching Engine Basics: Part 1

An introductory look at the CME matching engine for Eurodollar and Treasury futures. Understanding the matching engines helps our..

The Roll Tracker

When is the optimal time to trade your Treasury rolls? The Roll Tracker forecasts the shift of open interest for the current roll cycle using real-time data updated every 5 minutes…

The Presence of Implied and Hidden Liquidity

Robert explains how the complex order types on the CME can combine to generate “implied” quotes. Second generation quotes …

Transaction Analysis: An Example

We show you an example of a real algorithmic execution to illustrate how our algorithms work. By analyzing price and volume at the inside quotes and into the order…

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